Weird, mine came installed on the watch. Did a small test of the compass and it seemed to work quite well. I think it will be useful, especially with some map apps to get oriented, but also with just hiking new areas. On first launch it did say that it could be affected by magnetic material in some watch bands, so something to watch out for.
Guessing you setup as a new watch vs. restoring from your prior watch's backup?... OK Calming down now... looks like I just have to go and download the face I want, only the new ones came pre-installed, and you have to go to the gallery to get new ones. instead of just getting them in the face selection panel. Forgot all about that, as I don't changes the faces often.